Li Yang

Head of School
Professor
Journal articles
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Lien D; Lee G; Yang L; Zhang Y, 2018, 'Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis', North American Journal of Economics and Finance, vol. 46, pp. 187 - 201, http://dx.doi.org/10.1016/j.najef.2018.04.006
2018
Liu L; Wang Y; Yang L, 2018, 'Predictability of crude oil prices: An investor perspective', Energy Economics, vol. 75, pp. 193 - 205, http://dx.doi.org/10.1016/j.eneco.2018.08.010
2018
Pan Z; Wang Q; Wang Y; Yang L, 2018, 'Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model', Energy Economics, vol. 72, pp. 177 - 187, http://dx.doi.org/10.1016/j.eneco.2018.04.008
2018
Wang Y; Wu C; Yang L, 2016, 'Forecasting crude oil market volatility: A Markov switching multifractal volatility approach', International Journal of Forecasting, vol. 32, pp. 1 - 9, http://dx.doi.org/10.1016/j.ijforecast.2015.02.006
2016
Yang L; Wu C; Wang Y, 2015, 'Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?', Management Science, vol. 61, pp. 2870 - 2889, http://dx.doi.org/10.1287/mnsc.2014.2028
2015
Pan Z; Wang Y; Yang L, 2014, 'Hedging crude oil using refined product: A regime switching asymmetric DCC approach', Energy Economics, vol. 46, pp. 472 - 484, http://dx.doi.org/10.1016/j.eneco.2014.05.014
2014
Wang Y; Wu C; Yang L, 2014, 'Oil price shocks and agricultural commodity prices', Energy Economics, vol. 44, pp. 22 - 35, http://dx.doi.org/10.1016/j.eneco.2014.03.016
2014
Yu X; Yang L, 2014, 'Pricing american options using a nonparametric entropy approach', Discrete Dynamics in Nature and Society, vol. 2014, http://dx.doi.org/10.1155/2014/369795
2014
Lien D; Yang L; Zhou C; Lee G, 2014, 'Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets', North American Journal of Economics and Finance, vol. 28, pp. 265 - 272, http://dx.doi.org/10.1016/j.najef.2014.03.008
2014
Wang Y; Wu C; Yang L, 2013, 'Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries', Journal of Comparative Economics, vol. 41, pp. 1220 - 1239, http://dx.doi.org/10.1016/j.jce.2012.12.004
2013
Yang L; Zhou C; Lien D, 2013, 'Dynamic and asymmetric dependences between Chinese yuan and other Asia-pacific currencies', Journal of Futures Markets, vol. 33, pp. 696 - 723, http://dx.doi.org/10.1002/fut.21609
2013
Lien D; Lim G; Yang L; Zhou C, 2013, 'Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis', Journal of Futures Markets, vol. 33, pp. 327 - 342, http://dx.doi.org/10.1002/fut.21554
2013
Yang L, 2010, 'The Informational Role of Stock and Warrant Trades: Empirical Evidence from China', Emerging Markets Finance and Trade, vol. 47, pp. 78 - 93, http://dx.doi.org/10.2753/REE1540-496X4701S107
2010
Yang L, 2010, 'Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets', Journal of Futures Markets, vol. 18, http://dx.doi.org/10.2139/ssrn.1537762
2010
Yang L, 2009, 'The Effects of Structural Breaks and Long Memory on Currency Hedging', Journal of Futures Markets, vol. 30, pp. 1 - 26, http://dx.doi.org/10.1002/fut.20436
2009
Lien D; Yang L, 2009, 'Intraday return and volatility spill-over across international copper futures markets', International Journal of Managerial Finance, vol. 5, pp. 135 - 149, http://dx.doi.org/10.1108/17439130910932378
2009
Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, vol. 32, pp. 187 - 198, http://dx.doi.org/10.1016/j.bankfin.2007.01.026
2008
Lien D; Yang L, 2008, 'Hedging with Chinese metal futures', Global Finance Journal, vol. 19, pp. 123 - 128, http://dx.doi.org/10.1016/j.gfj.2008.01.004
2008
Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, vol. 32, pp. 187 - 198, http://dx.doi.org/10.1016/j.jbankfin.2007.01.026
2008
Lien D; Yang L, 2006, 'Spot-futures spread, time-varying correlation, and hedging with currency futures', Journal of Futures Markets, vol. 26, pp. 1019 - 1038, http://dx.doi.org/10.1002/fut.20225
2006
Lien D; Yang L, 2005, 'Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data', The Quarterly Review of Economics and Finance, vol. 45, pp. 730 - 747, http://dx.doi.org/10.1016/j.qref.2004.06.002
2005
Lien D; Yang L, 2004, 'Alternative settlement methods and Australian individual share futures contracts', Journal of International Financial Markets Institutions and Money, vol. 14, pp. 473 - 490, http://dx.doi.org/10.1016/j.intfin.2004.01.001
2004
Yang L; Lien D, 2004, 'Return Autocorrelations on individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United kingdom Markets', Review of Pacific Basin Financial Markets and Policies, vol. 7, pp. 397 - 422, http://dx.doi.org/10.1142/S0219091504000160
2004
Lien D; Yang L, 2004, 'Return Autocorrelations on Individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United Kingdom Markets', Review of Pacific Basin Financial Markets and Policies, vol. 07, pp. 397 - 422
2004
Yang L; Lien D, 2003, 'Options expiration effects and the role of individual share futures contracts', Journal of Futures Markets, vol. 23, pp. 1107 - 1118, http://dx.doi.org/10.1002/fut.10100
2003
Yang L; Lien D, 2003, 'Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market', International Review of Economics and Finance, vol. 12, pp. 495 - 512, http://dx.doi.org/10.1016/S1059-0560(03)00036-4
2003
Stoodley MA; Jones N; Yang L; Brown CJ, 2000, 'Mechanisms underlying the formation and enlargement of noncommunicating syringomyelia: experimental studies', Neurosurgical Focus, vol. 8, pp. 1 - 7
2000
Garcia PD; Irwin SH; Leuthold RM; Yang L, 1997, 'The value of public information in commodity futures markers', Journal of Economic Behavior and Organization, pp. 559 - 570
1997
Working Papers
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Lee G; Yang L, 2015, Impact of truncation on model-free implied moment estimator, http://dx.doi.org10.2139/ssrn.2485513
2015
Book Chapters
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Lien D; Lee G; yang L; Zhou C, 2014, 'Evaluating the Effectiveness of Futures Hedging', in Lee CF; Lee JC (ed.), Handbook of Financial Econometrics and Statistics, Springer, pp. 1891 - 1908, http://dx.doi.org/10.1007/978-1-4614-7750-1_70
2014
Yang L, 2009, 'Hedging Effectiveness with S&P 500 Index Futures under Different Volatility Regimes', in Catlere PN (ed.), Financial Hedging, edn. Original, Nova Science Publishers Inc, pp. 53 - 76
2009
Yang L, 2005, 'Settlement Specifications on Commodity Futures Contracts', in Bellows AR (ed.), Focus on Agricultural Economics, edn. 2005, Nova Science Publisher, Inc, New York, pp. 53 - 76
2005
  • Australian Research Council Discovery Grant 2017, "Investment Irreversibility, Policy Uncertainty, and Hedging Strategies", with D. Foster ($264,000)
  • Australian Research Council Discovery Grant 2009, "Building Flexible Multivariate Models and their application in Finance", with R. Kohn ($520,000)
  • Australian Research Council Linkage Grant 2008, "Information Content of Order Flows in the Foreign Exchange and Commodities Markets", with D. Foster, J. Wang and X. Yang ($110,000)

Futures trading and hedging; future contract design and its effect on markets; options valuation; volatility estimation.

FINS 5513, FINS 3635, and FINS 5535